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On multivariate extensions of the conditional value-at-risk measure

Di Bernardino, Elena; Fernández-Ponce, J. M.; … - In: Insurance / Mathematics & economics 61 (2015), pp. 1-16

Persistent link: https://www.econbiz.de/10010515946

A characterization of the multivariate excess wealth ordering

Fernández-Ponce, J. M.; Pellerey, F.; … - In: Insurance / Mathematics & economics 49 (2011) 3, pp. 410-417

Persistent link: https://www.econbiz.de/10009404694

An application of stochastic dominances in sports analytics

Fernández-Ponce, J. M.; Rodríguez-Griñolo, M. R.; … - In: Estudios de economía aplicada : revista promovida por … 40 (2022) 1, pp. 9-23

Persistent link: https://www.econbiz.de/10014229739

On multivariate extensions of the conditional Value-at-Risk measure

Di Bernardino, E.; Fernández-Ponce, J.M.; … - In: Insurance: Mathematics and Economics 61 (2015) C, pp. 1-16

CoVaR is a systemic risk measure proposed by Adrian and Brunnermeier (2011) able to measure a financial institution’s contribution to systemic risk and its contribution to the risk of other financial institutions. CoVaR stands for conditional Value-at-Risk, i.e. it indicates the Value at Risk...

Persistent link: https://www.econbiz.de/10011263838